GUSTX vs. GCAVX

Last updated Jun 6, 2026

GUSTX (GMO U.S. Treasury Fund) and GCAVX (GMO U.S. Small Cap Value Fund) are both mutual funds - GUSTX is a Government Bonds fund managed by GMO, while GCAVX is a Small Cap Value Equities fund managed by GMO. Over the past 5 years, GUSTX returned 1.95%/yr vs 10.09%/yr for GCAVX. At a correlation of -0.03, they often move in opposite directions. GUSTX charges 0.01%/yr vs 0.42%/yr for GCAVX.

Performance

GUSTX vs. GCAVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO U.S. Treasury Fund (GUSTX) and GMO U.S. Small Cap Value Fund (GCAVX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GUSTX achieves a 1.46% return, which is significantly lower than GCAVX's 16.66% return.

GUSTX

• 1D: 0.00%
• 1M: 0.34%
• YTD: 1.46%
• 6M: 1.79%
• 1Y: 3.90%
• 3Y*: 3.25%
• 5Y*: 1.95%
• 10Y*: -13.74%

GCAVX

• 1D: 1.04%
• 1M: 0.85%
• YTD: 16.66%
• 6M: 16.66%
• 1Y: 42.10%
• 3Y*: 21.85%
• 5Y*: 10.09%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

GUSTX vs. GCAVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GUSTX GMO U.S. Treasury Fund	1.46%	4.45%	2.21%	2.52%	-0.73%	-0.06%	0.89%	0.14%
GCAVX GMO U.S. Small Cap Value Fund	16.66%	15.27%	11.16%	22.72%	-14.22%	35.66%	2.38%	7.27%

Correlation

The correlation between GUSTX and GCAVX is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.11
Correlation (3Y) Calculated over the trailing 3-year period	0.02
Correlation (5Y) Calculated over the trailing 5-year period	0.00
Correlation (All Time) Calculated using the full available price history since Jul 8, 2019	-0.03

The correlation between GUSTX and GCAVX shifts across timeframes, from -0.11 (1 year) to 0.02 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

GUSTX vs. GCAVX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GUSTX

GUSTX Risk / Return Rank: 99
GUSTX Sharpe Ratio Rank: 95
GUSTX Sortino Ratio Rank: 100
GUSTX Omega Ratio Rank: 100
GUSTX Calmar Ratio Rank: 100
GUSTX Martin Ratio Rank: 99

GCAVX

GCAVX Risk / Return Rank: 68
GCAVX Sharpe Ratio Rank: 62
GCAVX Sortino Ratio Rank: 61
GCAVX Omega Ratio Rank: 52
GCAVX Calmar Ratio Rank: 86
GCAVX Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GUSTX vs. GCAVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Treasury Fund (GUSTX) and GMO U.S. Small Cap Value Fund (GCAVX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	GUSTX	GCAVX	Difference
Sharpe ratio: Return per unit of total volatility	3.34	2.26	+1.08
Sortino ratio: Return per unit of downside risk	11.33	3.19	+8.14
Omega ratio: Gain probability vs. loss probability	7.41	1.38	+6.03
Calmar ratio: Return relative to maximum drawdown	20.36	3.96	+16.40
Martin ratio: Return relative to average drawdown	57.94	13.86	+44.08
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GUSTX vs. GCAVX - Sharpe Ratio Comparison

The current GUSTX Sharpe Ratio is 3.34, which is higher than the GCAVX Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of GUSTX and GCAVX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GUSTX	GCAVX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.34	2.26	+1.08
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.14	0.46	+0.67
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.54	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.44	0.49	-0.93

Drawdowns

GUSTX vs. GCAVX - Drawdown Comparison

The maximum GUSTX drawdown since its inception was -79.98%, which is greater than GCAVX's maximum drawdown of -48.22%. Use the drawdown chart below to compare losses from any high point for GUSTX and GCAVX.

Drawdown Indicators

	GUSTX	GCAVX	Difference
Max Drawdown Largest peak-to-trough decline	-79.98%	-48.22%	-31.76%
Max Drawdown (1Y) Largest decline over 1 year	-0.20%	-10.64%	+10.44%
Max Drawdown (3Y) Largest decline over 3 years	-1.19%	-26.15%	+24.96%
Max Drawdown (5Y) Largest decline over 5 years	-1.19%	-26.15%	+24.96%
Max Drawdown (10Y) Largest decline over 10 years	-79.98%	—	—
Current Drawdown Current decline from peak	-77.68%	-0.22%	-77.46%
Average Drawdown Average peak-to-trough decline	-36.06%	-8.54%	-27.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.07%	3.04%	-2.97%

Volatility

GUSTX vs. GCAVX - Volatility Comparison

The current volatility for GMO U.S. Treasury Fund (GUSTX) is 0.34%, while GMO U.S. Small Cap Value Fund (GCAVX) has a volatility of 5.03%. This indicates that GUSTX experiences smaller price fluctuations and is considered to be less risky than GCAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GUSTX	GCAVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.34%	5.03%	-4.69%
Volatility (6M) Calculated over the trailing 6-month period	0.87%	12.67%	-11.80%
Volatility (1Y) Calculated over the trailing 1-year period	1.22%	18.69%	-17.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	1.75%	21.91%	-20.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.44%	26.63%	-1.19%

GUSTX vs. GCAVX - Expense Ratio Comparison

GUSTX has a 0.01% expense ratio, which is lower than GCAVX's 0.42% expense ratio.

Dividends

GUSTX vs. GCAVX - Dividend Comparison

GUSTX's dividend yield for the trailing twelve months is around 3.82%, more than GCAVX's 2.52% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GCAVX GMO U.S. Small Cap Value Fund	2.52%	2.94%	1.68%	1.85%	10.92%	41.19%	1.54%	0.83%	0.00%	0.00%	0.00%	0.00%
GUSTX GMO U.S. Treasury Fund	3.82%	4.15%	1.98%	2.28%	0.26%	0.14%	0.09%	0.14%	8.96%	0.50%	0.05%	0.04%

Frequently Asked Questions

Can I hold both GUSTX and GCAVX in my portfolio?

GUSTX and GCAVX have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GUSTX or GCAVX?

GCAVX has higher volatility (5.03%) compared to GUSTX (0.34%). In terms of maximum drawdown, GUSTX dropped -79.98% vs GCAVX's -48.22%.

Which has better risk-adjusted returns?

GUSTX currently has the higher Sharpe Ratio (3.34 vs 2.26), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.